Brian M. Wolf, Roselle US

Brian M. Wolf, Roselle, IL US

Patent application number

Description

Published

20080243576

System and method of allocating an incoming order to standing orders - A method of allocating a quantity of an incoming order for a product develops a value that indicates a portion of the incoming order this is to be allocated using a FIFO algorithm and allocates a first portion of the incoming order to standing orders using the FIFO algorithm. The method further allocates a second portion of the incoming order to standing orders using a pro-rata algorithm, wherein the step of allocating the second portion leaves a remaining quantity of the incoming order. In addition, the method allocates the remaining portion to the standing orders using a FIFO algorithm.

10-02-2008

20090048982

Method of computing a settlement price - A computer assisted method of operating a venue of an exchange comprises the steps of providing a market for trading of a product, acquiring a measure of trading volume of the product, and developing a measure of open interest in the product. A relationship is calculated between the measure of trading volume and the measure of open interest. A settlement price is computed in accordance with the relationship, and the settlement price is published.

02-19-2009

20100088212

SYSTEMS AND METHODS FOR MATCHING ONE OR MORE INCOMING ORDER TO A STANDING ORDER AS A FUNCTION OF AN INNER MARKET PARAMETER - A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.

04-08-2010

20100088213

SYSTEM AND METHOD FOR MATCHING ONE OR MORE INCOMING ORDER TO A STANDING ORDER BASED ON MULTIPLE ORDER PRIORITY - A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.

04-08-2010

20100088214

SYSTEM AND METHOD FOR MATCHING ONE OR MORE INCOMING ORDER TO A STANDING ORDER BASED ON MULTI-LEVEL ALLOCATION - A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.

04-08-2010

20100088215

SYSTEM AND METHOD FOR MATCHING ONE OR MORE INCOMING ORDER TO A STANDING ORDER BASED ON MULTIPLE ORDER PRIORITY ALLOCATION - A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.

04-08-2010

20100088216

SYSTEM AND METHOD FOR MATCHING ONE OR MORE INCOMING ORDER TO A STANDING ORDER BASED ON TIME ORDER PRIORITY ALLOCATION - A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.

04-08-2010

20110047104

SYSTEM AND METHOD OF ALLOCATING AN INCOMING ORDER TO STANDING ORDERS - A method of allocating a quantity of an incoming order to a plurality of standing orders, wherein the plurality of standing orders are contra to the incoming order and have an identical price is disclosed. The method includes allocating a first portion of the quantity of the incoming order to a first subset of the plurality of standing orders, wherein each order comprising the first subset is designated with a priority; allocating a second portion of the quantity of the incoming order to a second subset of the plurality of standing orders, wherein each order comprising the second subset was submitted by a preferred trader; allocating a third portion of the quantity of the incoming order to a third subset of the plurality of standing orders in accordance with when each order comprising the third subset was received; and allocating a fourth portion of the quantity of the incoming order to a fourth subset of the plurality of standing order proportionally.

02-24-2011

20130041801

Selective Suppression of Implied Contract Generation - An electronic trading system utilizes a Match Engine that receives orders, stores them internally, calculates tradable combinations and advertises the availability of real and implied orders in the form of market data. New tradable items defined as combinations of other tradable items may be included in the calculation of tradable combinations. A technique is disclosed for suppression of the calculation and/or subsequent listing of an implied order when the order is either undesired or unnecessary in the market therefore.

02-14-2013

20130117171

Relational Order Pricing Data for Interdependent Exchange-Traded Contracts - Prices for instances of an exchange-traded contract type can be submitted using one or more of at least two types of order pricing data. Explicit order pricing data may specify a price for one or more contracts in a first manner, e.g., by explicitly stating a specific amount of currency. Relational order pricing data may provide information that permits determination of prices for contracts based on other data.

05-09-2013

20140143117

Systems and Methods for Matching One or More Incoming Order to a Standing Order as a Function of an Inner Market Parameter - A method of order allocation is disclosed. The method includes receiving an incoming order, establishing an inner market representing a first portion of an order book which may be defined as a function of an inner market parameter, designating the first portion of the order book as a priority and allocating the first portion of the received incoming order based on the priority, establishing an outer market that represents a second portion of the order book that includes the remainder of the order book not represented by the inner market of the order book, assigning the received incoming order to one of the inner or outer markets as a function of the inner market parameter, allocating a first portion of the incoming order to the inner market utilizing a first-in, first-out (FIFO) algorithm, and allocating a second portion, in excess of the first portion, of the incoming order to the outer market using a pro-rata algorithm.

05-22-2014

20150073963

Matching with Level Residual Allocation - The disclosed embodiments relate to systems and methods which match/allocate an incoming order to trade with “resting,” i.e. previously received but not yet matched, orders. A primary volume of the aggressor order is allocated to a first subset of orders of the set of previously received orders based on a first matching procedure in partial satisfaction of the aggressor order. A residual volume of the aggressor order remaining after the partial satisfaction of the aggressor order is computed. Unfilled orders of the set of previously received orders are arranged in a ranking based on a second matching procedure independent of order size. A predetermined, level quantity of the aggressor order is allocated to each order in a second subset of the set of previously received orders in accordance with the ranking until the residual volume is exhausted.